Purpose: This paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose. Design/methodology/approach: The symmetric and asymmetric generalized impulse response...

Purpose Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. The purpose of this paper is to extend their work to a situation in which the unconditional volatility of the original asset is...

Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuous process with Poisson jump times and random jump sizes, following a method initiated on the Wiener space in [5]. European options do not satisfy the regularity conditions required in our...